Schrijven, hyven, facebooken, rappen en tweeten over criminaliteit. Een talige verkenning van de leefwereld, normen en warden van Nederlandse jongeren.

T.C. van Charldorp, R. van den Heerik

Research output: Contribution to JournalArticleAcademic


In December 2007, Goldman Sachs launched a product called QxX index swap, which is designed to allow market participants to hedge or gain exposure to longevity and mortality risks. In this paper, we offer a quantitative analysis of this brand new financial innovation. First of all, we set up a risk-neutral framework to price QxX index swaps. This framework, which is based on the dynamics of death rates under a two-factor stochastic mortality model in a risk-adjusted probability measure, yields prices (spreads) that are fairly close to the spreads that Goldman Sachs currently offers. We then explore the uncertainty involved in this model-based pricing framework. Specifically, we study parameter risk by using Bayesian methods and model risk by examining structural changes in mortality dynamics. Our results indicate that both model risk and parameter risk are significant. Actuaries should therefore be aware of these issues when placing a value on a longevity index swap. © 2013 Copyright Taylor and Francis Group, LLC.
Original languageDutch
Pages (from-to)1-48
Number of pages49
JournalP & W verkenningen
Publication statusPublished - 2013

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